Econometrics, Statistics and Empirical Economics

S411 Advanced Time Series Analysis in Economics and Finance

Lecturer Prof. Dr. Joachim Grammig, Dr. Jantje Sönksen, Dalia Elshiaty
Profiles First year Master; this course is not suitable for bachelor students
Prerequisites Bachelor level exposure to Econometrics/Time Series Analysis
Language English
Time and Place Lecture videos will be provided in Ilias folder (asynchronous)
Q&A-sessions will be conducted synchronously (according to present schedule: virtually and additionally on-site, details on time and place: TBA)
Practical class TBA
Exam TBA
Credit Points 9 ECTS
Start of the lecture 18-10-2021
Ilias-password #Hamilton94


Hamilton J.: Time Series Analysis, Princeton University Press, 1994


Rigorous treatment of state-of-the art univariate and multivariate time series methods used in economics and finance. Thorough treatment of autoregressive moving average (ARMA) models. Forecasting. Regression analysis with stationary time series. Non-stationary processes. Structural Vector-Autoregressive Models and Cointegration. Equilibrium Correction models. Johansen methodology. Applications of time series methods in macroeconomics and finance. Modeling conditional heteroskedasticity in financial time series. Newer developments. Applications use Matlab in practical class.

Practical class

Detailed information on the practical class and the introduction to Matlab will be provided in the Ilias folder.